Here’s a before-and-after picture, you can see the metal pushed into the cable (and the cable jacket clamped for strain relief):

Another view:

How does it work? Well, here’s the crimp tool, in released state:

And here it is again, squeezed tight (it has a stop, ya can’t squeeze too far):

If you keep goin’ at it for a while, you get this:

And that’s where they end up at Jee Labs:

Easy. And if you don’t want to go through all this: just cut up a telephone cable instead (note that such cables will work fine, but most of them only connect the inner 4 wires, i.e. AIO, DIO, +3V, and GND, not PWR & IRQ).